Seasonality Data Quality: What to Check in Spread Software

Dated contracts are the starting point

A recurring calendar spread must retain the intended delivery-month relationship across seasons. A generic continuous futures series can change its underlying contract as time passes. That may be useful for other analysis, but it does not by itself define the two dated legs of a historical spread.

Record the contract identifiers and the convention used to align years. In cross-year pairs, verify that the deferred contract belongs to the correct following year.

A lookback is not a sample count

A fifteen-year setting describes a requested window. It does not prove that every date contains fifteen valid observations. One leg may have a shorter listing history or missing prices. Review which years participate and whether gaps change the sample across the chart.

For a calculation using several legs, each observation needs an appropriate price for every leg. Carrying a price forward is a methodological choice and should not be confused with a new market observation.

Separate seasonal shape from dollar outcomes

Normalization can make differently sized annual moves visually comparable. It also means the displayed average is not necessarily the arithmetic mean of raw spread prices. A line’s height on the chart should not be treated as a dollar profit target.

Historical P&L should be traced to actual spread entry and exit values, position direction and the relevant monetary multiplier. Record whether the reported result includes commissions or slippage before comparing it with live execution.

Check the latest date and unusual years

A page loading successfully does not establish that every contract is current. Read the observation date and inspect both legs. When a historical outlier appears, investigate it before removing it: it may reflect a genuine episode that matters to the risk assessment.

Keep an audit note for excluded years and changes to the data convention. A more attractive backtest after exclusions is not evidence that the exclusion rule will generalize.

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